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101	Análise de risco de crédito: aplicação dos modelos de Merton e Hull no mercado brasileiro Jarque Junior, Vito Manuel 30 May 2017 (has links) Submitted by Vito Jarque Junior (vitojarque@gmail.com) on 2017-06-29T03:19:47Z No. of bitstreams: 1 Dissertação.pdf: 1824355 bytes, checksum: d2ac9c243606e99b445415fe2275c8fb (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2017-07-07T13:01:13Z (GMT) No. of bitstreams: 1 Dissertação.pdf: 1824355 bytes, checksum: d2ac9c243606e99b445415fe2275c8fb (MD5) / Made available in DSpace on 2017-07-21T14:49:19Z (GMT). No. of bitstreams: 1 Dissertação.pdf: 1824355 bytes, checksum: d2ac9c243606e99b445415fe2275c8fb (MD5) Previous issue date: 2017-05-30 / This work aims to quantify the credit risk of Brazilian companies, by using tools whose refinement and precision is more and more required by financial institutions on credit loans. In this regard, It is analyzed the credit spread and default probabilities derived by the application of two risk models, whose authors are Robert C. Merton (1974), and John Hull, Izzy Nelken and Alan White (2004). In the end, It is also evaluated the model with the best adherence to Brazilian market. / Este trabalho tem como objetivo quantificar o risco de crédito de empresas do mercado brasileiro, lançando mão de ferramentas cujo aprimoramento e precisão são cada vez mais exigidos pelas instituições financeiras nas concessões de empréstimos. Para isso, analisam-se o spread de crédito e a probabilidade de default gerados a partir da aplicação de dois modelos de avaliação de risco, cujos autores são, respectivamente, Robert C. Merton (1974), e John Hull, Izzy Nelken e Alan White (2004). Por fim, comparam-se e analisam-se os resultados, avaliando aquele com melhor aderência ao mercado brasileiro. Credit Risk Credit Spread Merton’s Risk Model Hull Nelken and White’s Risk Model Análise de Crédito Risco de Crédito Modelo de Merton Modelo de Hull, Nelken e White Finanças Análise de crédito Créditos Administração de risco Empresas
102	Direct experience of God in contemporary theology Slater, Jennifer January 1994 (has links) 'Direct experience of God' is a term frequently used by theologians without adequate clarification regarding its meaning. The understanding thereof has become increasingly complicated by the process of secularization. In the 1960's, it was repeatedly asserted that modern people could not have direct experiences of God, albeit that one could still live by faith and by commitment to the way of Jesus in a world in which, it was asserted, "God is dead". This claim, although long predominant, has been challenged by the upsurge of interest in mysticism, both Eastern and Western, and the burgeoning of Pentecostalism and the Charismatic movement, in which circles direct experience of God was frequently claimed. If direct experience of God is something natural to humanity, interpretation of it will vary in exactly the same way as interpretation of all other human experiences. This could be a possible reason for it being so very poorly integrated into everyday life, resulting in the loss of meaning and value. God -- Knowableness Experience (Religion)
103	Foreign Exchange Option Valuation under Stochastic Volatility Rafiou, AS January 2009 (has links) >Magister Scientiae - MSc / The case of pricing options under constant volatility has been common practise for decades. Yet market data proves that the volatility is a stochastic phenomenon, this is evident in longer duration instruments in which the volatility of underlying asset is dynamic and unpredictable. The methods of valuing options under stochastic volatility that have been extensively published focus mainly on stock markets and on options written on a single reference asset. This work probes the effect of valuing European call option written on a basket of currencies, under constant volatility and under stochastic volatility models. We apply a family of the stochastic models to investigate the relative performance of option prices. For the valuation of option under constant volatility, we derive a closed form analytic solution which relaxes some of the assumptions in the Black-Scholes model. The problem of two-dimensional random diffusion of exchange rates and volatilities is treated with present value scheme, mean reversion and non-mean reversion stochastic volatility models. A multi-factor Gaussian distribution function is applied on lognormal asset dynamics sampled from a normal distribution which we generate by the Box-Muller method and make inter dependent by Cholesky factor matrix decomposition. Furthermore, a Monte Carlo simulation method is adopted to approximate a general form of numeric solution The historic data considered dates from 31 December 1997 to 30 June 2008. The basket contains ZAR as base currency, USD, GBP, EUR and JPY are foreign currencies. Black-Seholes-Merton model Bachelier model Sprenkle model Boness model Samuelson model Multi-assets option Monte Carlo integration C++ simulation Wiener process Brownian motion vector
104	Detecting anomalies in data streams driven by ajump-diffusion process / Anomalidetektion i dataströmmar för hopp-diffusionsprocesser Paulin, Carl January 2021 (has links) Jump-diffusion processes often model financial time series as they can simulate the random jumps that they frequently exhibit. These jumps can be seen as anomalies and are essential for financial analysis and model building, making them vital to detect.The realized variation, realized bipower variation, and realized semi-variation were tested to see if one could use them to detect jumps in a jump-diffusion process and if anomaly detection algorithms can use them as features to improve their accuracy. The algorithms tested were Isolation Forest, Robust Random Cut Forest, and Isolation Forest Algorithm for Streaming Data, where the latter two use streaming data. This was done by generating a Merton jump-diffusion process with a varying jump-rate and tested using each algorithm with each of the features. The performance of each algorithm was measured using the F1-score to compare the difference between features and algorithms. It was found that the algorithms were improved from using the features; Isolation Forest saw improvement from using one, or more, of the named features. For the streaming algorithms, Robust Random Cut Forest performed the best for every jump-rate except the lowest. Using a combination of the features gave the highest F1-score for both streaming algorithms. These results show one can use these features to extract jumps, as anomaly scores, and improve the accuracy of the algorithms, both in a batch and stream setting. / Hopp-diffusionsprocesser används regelbundet för att modellera finansiella tidsserier eftersom de kan simulera de slumpmässiga hopp som ofta uppstår. Dessa hopp kan ses som anomalier och är viktiga för finansiell analys och modellbyggnad, vilket gör dom väldigt viktiga att hitta. Den realiserade variationen, realiserade bipower variationen, och realiserade semi-variationen är faktorer av en tidsserie som kan användas för att hitta hopp i hopp-diffusionprocesser. De används här för att testa om anomali-detektionsalgoritmer kan använda funktionerna för att förbättra dess förmåga att detektera hopp. Algoritmerna som testades var Isolation Forest, Robust Random Cut Forest, och Isolation Forest Algoritmen för Strömmande data, där de två sistnämnda använder strömmande data. Detta gjordes genom att genera data från en Merton hopp-diffusionprocess med varierande hoppfrekvens där de olika algoritmerna testades med varje funktion samt med kombinationer av funktioner. Prestationen av varje algoritm beräknades med hjälp av F1-värde för att kunna jämföra algoritmerna och funktionerna med varandra. Det hittades att funktionerna kan användas för att extrahera hopp från hopp-diffusionprocesser och även använda de som en indikator för när hopp skulle ha hänt. Algoritmerna fick även ett högre F1-värde när de använde funktionerna. Isolation Forest fick ett förbättrat F1-värde genom att använda en eller fler utav funktionerna och hade ett högre F1-värde än att bara använda funktionerna för att detektera hopp. Robust Random Cut Forest hade högst F1-värde av de två algoritmer som använde strömmande data och båda fick högst F1-värde när man använde en kombination utav alla funktioner. Resultatet visar att dessa funktioner fungerar för att extrahera hopp från hopprocesser, använda dem för att detektera hopp, och att algoritmernas förmåga att detektera hoppen ökade med hjälp av funktionerna. machine learning ML random forest anomaly detection outlier analysis financial modelling merton jump-diffusion process stochastic process isolation forest IF robust random cut forest RRCF Mathematical Analysis Matematisk analys Probability Theory and Statistics Sannolikhetsteori och statistik Computer Sciences Datavetenskap (datalogi)
105	Deviant Society: The Self-Reliant "Other" in Transcendental America Bhagwanani, Ashna 22 July 2013 (has links) This dissertation utilizes theories of deviance in conjunction with literary methods of reading and analyzing to study a range of deviant or transgressive characters in American literature of the 1840s and 50s. I justify this methodology on the basis of the intersecting and related histories of Emersonian self-reliance and deviance in American thought. I contend that each of the texts of self-reliance discussed by the dissertation – The National Police Gazette (1845-present), Frederick Douglass’ Narrative of the Life of Frederick Douglass (1845) and My Bondage and My Freedom (1855), Margaret Fuller’s Woman in the Nineteenth Century (1845), Henry David Thoreau’s “Civil Disobedience” (1849) and Walden (1854), and Nathaniel Hawthorne’s The Scarlet Letter (1850) and The Blithedale Romance (1852) – actually sanctions deviance. Since deviance is endorsed by these texts in some shape or form, it is a critical component of American culture; consequently American culture is one that promotes deviance. My work on Douglass and Thoreau employs the sociological theories of Robert K. Merton (1949) to investigate the tensions between the culturally lauded goal of self-reliance and the legitimate means for securing this. I explore the importance of Transcendentalist self-reliance to the American Dream ethos and the ways in which it is valorized by each protagonist. The work on the National Police Gazette puts popular and elite forms of literary discourse into conversation with one another. My primary concern here is with explaining why and how specific self-reliant behaviours are deemed “deviant” in the literary context, but “criminal” by popular works. The chapters on female deviance elucidate the confines of women’s writing and writing about women as well as the acceptable female modes of conduct during the nineteenth century. They also focus on the ways female characters engaged in deviance from within these rigid frameworks. A functionalist interrogation of female deviance underscores the ways society is united against those women who are classed as unwomanly or unfeminine. My conclusion seeks to reinvigorate the conversation regarding the intersection between literature and the social sciences and suggests that literature in many ways often anticipates sociological theory. Ultimately, I conclude by broadening the category of the self-reliant individual to include, for instance, females and African-American slaves who were otherwise not imagined to possess such tendencies. Thus, this dissertation revises notions of Emerson’s concept of self-reliance by positioning it instead as a call to arms for all Americans to engage in deviant or socially transgressive behaviour. deviant deviance Ralph Waldo Emerson Transcendentalism Transcendentalist transgression American Literature The National Police Gazette Hawthorne Thoreau Fern Fuller Douglass My Bondage Woman in the Nineteenth Century Ruth Hall Civil Disobedience Walden Merton Self-Reliance self-reliant self-reliance English (Literary Studies)
106	Deviant Society: The Self-Reliant "Other" in Transcendental America Bhagwanani, Ashna 22 July 2013 (has links) This dissertation utilizes theories of deviance in conjunction with literary methods of reading and analyzing to study a range of deviant or transgressive characters in American literature of the 1840s and 50s. I justify this methodology on the basis of the intersecting and related histories of Emersonian self-reliance and deviance in American thought. I contend that each of the texts of self-reliance discussed by the dissertation – The National Police Gazette (1845-present), Frederick Douglass’ Narrative of the Life of Frederick Douglass (1845) and My Bondage and My Freedom (1855), Margaret Fuller’s Woman in the Nineteenth Century (1845), Henry David Thoreau’s “Civil Disobedience” (1849) and Walden (1854), and Nathaniel Hawthorne’s The Scarlet Letter (1850) and The Blithedale Romance (1852) – actually sanctions deviance. Since deviance is endorsed by these texts in some shape or form, it is a critical component of American culture; consequently American culture is one that promotes deviance. My work on Douglass and Thoreau employs the sociological theories of Robert K. Merton (1949) to investigate the tensions between the culturally lauded goal of self-reliance and the legitimate means for securing this. I explore the importance of Transcendentalist self-reliance to the American Dream ethos and the ways in which it is valorized by each protagonist. The work on the National Police Gazette puts popular and elite forms of literary discourse into conversation with one another. My primary concern here is with explaining why and how specific self-reliant behaviours are deemed “deviant” in the literary context, but “criminal” by popular works. The chapters on female deviance elucidate the confines of women’s writing and writing about women as well as the acceptable female modes of conduct during the nineteenth century. They also focus on the ways female characters engaged in deviance from within these rigid frameworks. A functionalist interrogation of female deviance underscores the ways society is united against those women who are classed as unwomanly or unfeminine. My conclusion seeks to reinvigorate the conversation regarding the intersection between literature and the social sciences and suggests that literature in many ways often anticipates sociological theory. Ultimately, I conclude by broadening the category of the self-reliant individual to include, for instance, females and African-American slaves who were otherwise not imagined to possess such tendencies. Thus, this dissertation revises notions of Emerson’s concept of self-reliance by positioning it instead as a call to arms for all Americans to engage in deviant or socially transgressive behaviour. deviant deviance Ralph Waldo Emerson Transcendentalism Transcendentalist transgression American Literature The National Police Gazette Hawthorne Thoreau Fern Fuller Douglass My Bondage Woman in the Nineteenth Century Ruth Hall Civil Disobedience Walden Merton Self-Reliance self-reliant self-reliance English (Literary Studies)
107	Intergrating environmental risk into bank credit processess : The south African banking context Bimha, Alfred 09 1900 (has links) The impact of climate change on the financial performance of companies is of concern to bank credit processes. The main objective of this research was to develop a South African contextualised credit process that incorporates environmental risk. The research methodology comprised of a mixed-method being content analysis – the qualitative portion and the Probability of Default prediction using a Merton Model and the Hoffmann and Busch (2008) carbon risk analysis model - the quantitative portion. A content analysis of the banks’ Annual Reports, Integrated Reports and Sustainability Reports showed that, while South African banks follow a qualitative approach to embedding environmental risk into their credit process, none of the four banks that formed part of the study divulged their quantitative approach to embedding environmental risk. The study used a proximity matrix method to examine the level of embedding. The second part of the study, which used prior studies as the benchmark, adopted the following: (1) a simulated carbon tax regime as a proxy for an environmental risk, and (2) the Hoffmann and Busch (2008) carbon risk analysis tool and the Merton Model (1974) as the bank credit process proxies. The second part of the study used a sample of 33 JSE-listed Carbon Disclosure Project reporting companies out of a population of 107. The carbon risk analysis showed that the companies in the materials and energy sector have a high carbon risk. However, the results from the Merton Model showed that the companies have enough profit to cushion the additional carbon tax liability, given the insignificant shift in probability of default between the three scenarios, where financial data had (1) no carbon tax, (2) was adjusted for a carbon tax with incentives, and (3) adjusted for carbon tax without incentives. Triangulation of the results from the content analysis, carbon risk analysis and the probability of default analysis confirms that South African banks do not fully integrate environmental risk across the credit value chain or process in the 2010 to 2017 period. However, the carbon risk analysis shows a heavy dependency on carbon sources for critical inputs into the South African companies’ production processes, which if not checked, will affect the credit portfolios of banks. / Finance, Risk Management and Banking / D. Phil (Management Studies) Environmental risk Climate change Carbon risk analysis Credit process Lending process Carbon tax Climate change risk Probability of default Credit rating Merton Model Environmental liability Financed emissions 658.1550968 Climatic changes -- Risk management Banks and banking -- South Africa South Africa -- Economic conditions
108	Religious directives of health, sickness and death : Church teachings on how to be well, how to be ill, and how to die in early modern England Elkins, Mark January 2018 (has links) In broad terms, this thesis is a study of what Protestant theologians in early modern England taught regarding the interdependence between physical health and spirituality. More precisely, it examines the specific and complex doctrines taught regarding health-related issues in the sixteenth and seventeenth centuries, and evaluates the consistency of these messages over time. A component of the controversial Protestant-science hypothesis introduced in the early twentieth century is that advancements in science were driven by the Protestant ethic of needing to control nature and every aspect therein. This thesis challenges this notion. Within the context of health, sickness and death, the doctrine of providence evident in Protestant soteriology emphasised complete submission to God's sovereign will. Rather, this overriding doctrine negated the need to assume any control. Moreover, this thesis affirms that the directives theologians delivered governing physical health remained consistent across this span, despite radical changes taking place in medicine during the same period. This consistency shows the stability and strength of this message. Each chapter offers a comprehensive analysis on what Protestant theologians taught regarding the health of the body as well as the soul. The inclusion of more than one hundred seventy sermons and religious treatises by as many as one hundred twenty different authors spanning more than two hundred years laid a fertile groundwork for this study. The result of this work provides an extensive survey of theological teachings from these religious writers over a large span of time.
109	Highway Development Decision-Making Under Uncertainty: Analysis, Critique and Advancement El-Khatib, Mayar January 2010 (has links) While decision-making under uncertainty is a major universal problem, its implications in the field of transportation systems are especially enormous; where the benefits of right decisions are tremendous, the consequences of wrong ones are potentially disastrous. In the realm of highway systems, decisions related to the highway configuration (number of lanes, right of way, etc.) need to incorporate both the traffic demand and land price uncertainties. In the literature, these uncertainties have generally been modeled using the Geometric Brownian Motion (GBM) process, which has been used extensively in modeling many other real life phenomena. But few scholars, including those who used the GBM in highway configuration decisions, have offered any rigorous justification for the use of this model. This thesis attempts to offer a detailed analysis of various aspects of transportation systems in relation to decision-making. It reveals some general insights as well as a new concept that extends the notion of opportunity cost to situations where wrong decisions could be made. Claiming deficiency of the GBM model, it also introduces a new formulation that utilizes a large and flexible parametric family of jump models (i.e., Lévy processes). To validate this claim, data related to traffic demand and land prices were collected and analyzed to reveal that their distributions, heavy-tailed and asymmetric, do not match well with the GBM model. As a remedy, this research used the Merton, Kou, and negative inverse Gaussian Lévy processes as possible alternatives. Though the results show indifference in relation to final decisions among the models, mathematically, they improve the precision of uncertainty models and the decision-making process. This furthers the quest for optimality in highway projects and beyond. highway development decision making under uncertainty real options jump processes infinitely divisible distributions Lévy processes measure theory characteristic function characteristic exponent Lévy jump measure probability measure cádlág stochastic process Wiener process Poisson process compound Poisson process finite activity models jump diffusion models Merton model Gaussian jump process Kou model double exponential jump process leptokurtic volatility smile infinite activity models pure jumps process generalized hyperbolic model modified Bessel function negative inverse Gaussian model geometric Brownian motion model log-normal distribution model normality assumption heavy-tailed distribution asymmetric distribution quantile-quantile plot Rydberg algorithm parameter calibration moments cummulants sum of squares Monte Carlo simulation least-squares regression backward dynamic programming discrete-time Markov chain land price traffic demand highway service quality index data collection traffic volume Annual Average Daily Traffic Ontario Ministry of Transportation Land Registry Office Freedom of Information Act seasonality value of transportation types of transportation systems importance of highway systems cost of wrong decisions monetary cost private sector cost human cost land expropriation environmental cost irreversibility cost factor time cost factor political cost factor opportunity cost opportunity cost of wrong decisions economic cost of wrong decisions economic cost of mis-estimation economic profit of wrong decisions cost of inaction price of making right decisions scope of decisions rehabilitation decision land acquisition decision expansion decision uncertainty modeling land acquisition cost expropriation cost construction cost material cost Montréal-Mirabel International Airport Pickering Airport 407 Express Toll Route Highway 407 Statistics
110	Highway Development Decision-Making Under Uncertainty: Analysis, Critique and Advancement El-Khatib, Mayar January 2010 (has links) While decision-making under uncertainty is a major universal problem, its implications in the field of transportation systems are especially enormous; where the benefits of right decisions are tremendous, the consequences of wrong ones are potentially disastrous. In the realm of highway systems, decisions related to the highway configuration (number of lanes, right of way, etc.) need to incorporate both the traffic demand and land price uncertainties. In the literature, these uncertainties have generally been modeled using the Geometric Brownian Motion (GBM) process, which has been used extensively in modeling many other real life phenomena. But few scholars, including those who used the GBM in highway configuration decisions, have offered any rigorous justification for the use of this model. This thesis attempts to offer a detailed analysis of various aspects of transportation systems in relation to decision-making. It reveals some general insights as well as a new concept that extends the notion of opportunity cost to situations where wrong decisions could be made. Claiming deficiency of the GBM model, it also introduces a new formulation that utilizes a large and flexible parametric family of jump models (i.e., Lévy processes). To validate this claim, data related to traffic demand and land prices were collected and analyzed to reveal that their distributions, heavy-tailed and asymmetric, do not match well with the GBM model. As a remedy, this research used the Merton, Kou, and negative inverse Gaussian Lévy processes as possible alternatives. Though the results show indifference in relation to final decisions among the models, mathematically, they improve the precision of uncertainty models and the decision-making process. This furthers the quest for optimality in highway projects and beyond. highway development decision making under uncertainty real options jump processes infinitely divisible distributions Lévy processes measure theory characteristic function characteristic exponent Lévy jump measure probability measure cádlág stochastic process Wiener process Poisson process compound Poisson process finite activity models jump diffusion models Merton model Gaussian jump process Kou model double exponential jump process leptokurtic volatility smile infinite activity models pure jumps process generalized hyperbolic model modified Bessel function negative inverse Gaussian model geometric Brownian motion model log-normal distribution model normality assumption heavy-tailed distribution asymmetric distribution quantile-quantile plot Rydberg algorithm parameter calibration moments cummulants sum of squares Monte Carlo simulation least-squares regression backward dynamic programming discrete-time Markov chain land price traffic demand highway service quality index data collection traffic volume Annual Average Daily Traffic Ontario Ministry of Transportation Land Registry Office Freedom of Information Act seasonality value of transportation types of transportation systems importance of highway systems cost of wrong decisions monetary cost private sector cost human cost land expropriation environmental cost irreversibility cost factor time cost factor political cost factor opportunity cost opportunity cost of wrong decisions economic cost of wrong decisions economic cost of mis-estimation economic profit of wrong decisions cost of inaction price of making right decisions scope of decisions rehabilitation decision land acquisition decision expansion decision uncertainty modeling land acquisition cost expropriation cost construction cost material cost Montréal-Mirabel International Airport Pickering Airport 407 Express Toll Route Highway 407 Statistics

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